You are probably trying to install the entire packaged bundle rather than just the theme itself. Unzip the file and you should find another folder inside with the name of the theme, a documentation folder, etc.

Just upload the folder with the name of the theme to your WordPress site.

You shouldn’t be uploading the jphotolio-bundle folder. Open that folder and upload the jphotolio_v2.03 zipped file that is inside. Also, if you open up the documentation folder and open the index file you will find detailed instructions on how to install and set up the theme. Hope that helps